# Hoja 8

E-II. Introd. Econometría, 2006/07

Hoja de Ejercicios 8 Contrastes sobre conjuntos de parámetros
Estadística-II. INTRODUCCIÓN a la ECONOMETRÍA. UC3M

1. (Ejercicio 4.6, Wooldridge). In Section 4.5, we used as an example testing the rationality of assessments of housing prices. There, we used a log-log model in price and assess [see equation (4.47)]. Here, we use a level-level formulation. (i) In the simple regression model price = β 0 + β 1 assess + u the assessment is rational if β 1 = 1 and β 0 = 0. The estimated equation is price = −14.47 + 0.976 assess (16.27) (0.049) n = 88, SSR = 165644.51, R2 = 0.820 First, test the hypothesis that H0 : β 0 = 0 against the two-sided alternative. Then, test H0 : β 1 = 1 against the two-sided alternative. What do you conclude? (ii) To test the joint hypothesis that β 0 = 0 and β 1 = 1, we need the SSR in the restricted model. This amounts to computing n (pricei − assessi )2 , where n = 88, since the i=1 residuals in the restricted model are just pricei − assessi . (No estimation is needed for the restricted model because both parameters are speciﬁed under H0 .) This turns out to yield SSR = 209, 448.99. Carry out the F test for the joint hypothesis. (iii) Now, test H0 : β 2 = 0, β 3 = 0, β 4 = 0 in the model price = β 0 + β 1 assess + β 2 lotsize + β 3 sqrft + β 4 bdrms + u The R-squared from estimating this model using the same 88 houses is .829. (iv) If the variance of price changes with assess, sqrft, lotsize, or bdrms, what can you say about the F test from part (iii)? 2. (Ejercicio 4.7, Wooldridge) . In Example 4.7, we used data on Michigan manufacturing ﬁrms to estimate the relationship between the scrap rate and other ﬁrm characteristics. We now look at this example more closely and use a larger sample of ﬁrms. (i) The population model estimated in Example 4.7 can be written as log(srap) = β 0 + β 1 hrsemp + β 2 log(sales) + β 3 log(employ) + u Using the 43 observations available for 1987, the estimated equation is log(srap) = 11.74 − 0.042 hrsemp − 0.951 log(sales) + 0.992 log(employ) (4.57) (0.019) n = 43, R = 0.310 1
2

(0.370)

(0.360)

].Hoja 8 E-II. Introd. Econometría.57) (0.205) Controlling for worker training and for the sales-to-employee ratio.042 hrsemp − 0.74 − 0.310 (0.951 log(sales/employ) + 0. (ii) Show that the population model can also be written as log(srap) = β 0 + β 1 hrsemp + β 2 log(sales/employ) + θ3 log(employ) + u where θ 3 = β 2 + β 3 .019) n = 43. R2 = 0. 2 . [Hint: Recall that log(x2 /x3 ) = log (x2 ) − log (x3 ). (iii) When the equation from part (ii) is estimated. 2006/07 Compare this equation to that estimated using only 30 ﬁrms in the sample. Interpret the hypothesis H0 : θ3 = 0.370) (0.041 log(employ) (4. we obtain log(srap) = 11. do bigger ﬁrms have larger statistically signiﬁcant scrap rates? (iv) Test the hypothesis that a 1% increase in sales/employ is associated with a 1% drop in the scrap rate.